Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

DOI10.3150/07-BEJ5092MaRDI QIDQ2465271zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 9 January 2008

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.4138

zbMATH Keywords

Neumann boundary conditionbackward doubly stochastic differential equationBackward stochastic differential equationparabolic stochastic PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for viscosity solutions of semi-linear stochastic partial differential equations with a Neumann boundary condition is given.

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Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
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• Stochastic differential equations with reflecting boundary conditions
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Cited in

(38)

• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
• On a class of backward doubly stochastic differential equations
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• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
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• Stationary stochastic viscosity solutions of SPDEs
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• Nonlinear parabolic SPDEs involving Dirichlet operators
• A note on homeomorphism for backward doubly SDEs and applications
• Stochastic viscosity solutions for SPDEs with continuous coefficients
• Backward doubly stochastic Volterra integral equations and their applications
• Stochastic viscosity solutions for stochastic integral-partial differential equations
• \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
• Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
• Stochastic PDEs and infinite horizon backward doubly stochastic differential equations
• Necessary condition for optimal control of doubly stochastic systems
• Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
• Mean-field backward doubly stochastic differential equations and related SPDEs

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